Permanent and temporary monetary policy shocks and the dynamics of exchange rates
利用1971-2019年多国月度数据，区分永久性和暂时性货币政策冲击，发现暂时性加息导致美元短期升值，而永久性加息（如零利率下限后正常化）则使美元短期和长期均贬值，并可能推高短期通胀。
We show the distinction between permanent and temporary monetary policy shocks is helpful to understand the impacts of monetary policy on exchange rates in the short as well as over the long run. Drawing on monthly data for several advanced economies from 1971 to 2019 and resorting to a simple structural vector error correction (SVEC) model, we find that a shock leading to a temporary increase in U.S. nominal interest rates leads to a temporary appreciation of the USD against the other currencies. In turn, a monetary policy shock leading to a permanent rise in nominal interest rates – e.g., one associated with a normalisation of monetary policy after a long period at the zero lower bound – results in a depreciation of the USD, in the short as well as over the long run that may contribute to higher (not lower) inflation also in the short run.